Large-sample asymptotic approximations for the sampling and posterior distributions of differential entropy for multivariate normal distributions

DOI10.3390/E13040805zbMATH Open1229.94035OpenAlexW1969902665MaRDI QIDQ657559FDOQ657559

Authors: Guillaume Marrelec, Habib Benali 

Publication date: 9 January 2012

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e13040805

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zbMATH Keywords

multivariate normal distributionmutual informationsampling distributionasymptotic approximationposterior distributionlarge sampledifferential entropytotal correlationmultiinformationmultivariate constraint

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Measures of information, entropy (94A17)

Cites Work

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• Estimation of the entropy of a multivariate normal distribution
• Entropy expressions and their estimators for multivariate distributions
• Estimation of Entropy and Mutual Information
• Parametric Bayesian estimation of differential entropy and relative entropy
• Convergence properties of functional estimates for discrete distributions
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• Information Theoretical Analysis of Multivariate Correlation
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Cited In (5)

• Estimation bias in maximum entropy models
• Asymptotic Sampling Distribution for Polynomial Chaos Representation from Data: A Maximum Entropy and Fisher Information Approach
• Maximum entropy approximations for asymptotic distributions of smooth functions of sample means
• Edgeworth Approximation of Multivariate Differential Entropy
• Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions

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